Asymptotically optimal estimator of the parameter of semi-linear autoregression
The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if...
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| Datum: | 2007 |
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| Format: | Artikel |
| Sprache: | Englisch |
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Інститут математики НАН України
2007
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4475 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862633892131897344 |
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| author | Ivanenko, D. |
| author_facet | Ivanenko, D. |
| citation_txt | Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. |
| collection | DSpace DC |
| description | The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated.
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| first_indexed | 2025-11-30T15:06:32Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4475 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-30T15:06:32Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Ivanenko, D. 2009-11-19T10:08:35Z 2009-11-19T10:08:35Z 2007 Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4475 The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated. en Інститут математики НАН України Asymptotically optimal estimator of the parameter of semi-linear autoregression Article published earlier |
| spellingShingle | Asymptotically optimal estimator of the parameter of semi-linear autoregression Ivanenko, D. |
| title | Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_full | Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_fullStr | Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_full_unstemmed | Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_short | Asymptotically optimal estimator of the parameter of semi-linear autoregression |
| title_sort | asymptotically optimal estimator of the parameter of semi-linear autoregression |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4475 |
| work_keys_str_mv | AT ivanenkod asymptoticallyoptimalestimatoroftheparameterofsemilinearautoregression |